Forum Replies Created
-
Posts
-
Hi Alex, being the first non-LI person to look at the spreadsheet, great job! This brings an exciting tool so we can tailor portfolios’s to what matters to us.
I would like the ability to have a portfolio that doesn’t achieve gains from long U.S treasuries as have some of the portfolios here. So, I guess non-TLT as one of the rotational (screened) positions.
Keep up the great work. I just got the email showing the future strategies and you guys are doing great on many fronts.
Very good Alex. Thanks for your detailed and prompt replies. I am likewise a big fan of Adaptive Allocation and respect David Varadi and his work.
Instead of solving for min. vol, which punishes upside vol, what about targeting drawdown or max Sortino as Patrick above referenced? Curious as to your thoughts. Showing Sharpe will certainly help people compare as you noted (in Patrick’s reply above) Sharpe is more widely used.
Being able to see your thoughts and your responsiveness is a big benefit.
Many black box or other less transparent strategies will be abandoned once the inevitable drawdown occurs as the user doesn’t know enough to stick with the strategy so your details help.
Nice work on adding in correlations. Knowing your collective brainpower, you could optimize an allocation for a given level of risk- have you thought about doing that (among your hundreds of other to-do’s)?
Could you add another column showing drawdown? I think that would help put an allocation in perspective I think better than vol.
Great work all.
